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Giacomo Sbrana

Personal Details

First Name:Giacomo
Middle Name:
Last Name:Sbrana
Suffix:
RePEc Short-ID:psb12

Affiliation

Neoma Business School

Rouen/Reims, France
http://www.neoma-bs.com/

: +33 2 3282 5700
+33 2 3282 5701
1 Rue du Maréchal Juin, BP 215, 76825 Mont Saint Aignan Cedex
RePEc:edi:neomafr (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Claudio Morana & Giacomo Sbrana, 2018. "Some financial implications of global warming: An empirical assessment," Working Paper series 18-09, Rimini Centre for Economic Analysis.
  2. Claudio Morana & Giacomo Sbrana, 2017. "Temperature Anomalies, Radiative Forcing and ENSO," Working Papers 2017.09, Fondazione Eni Enrico Mattei.
  3. Giacomo Sbrana & Andrea Silvestrini & Fabrizio Venditti, 2015. "Short term inflation forecasting: the M.E.T.A. approach," Temi di discussione (Economic working papers) 1016, Bank of Italy, Economic Research and International Relations Area.
  4. Giacomo Sbrana & Andrea Silvestrini, 2014. "Random switching exponential smoothing and inventory forecasting," Temi di discussione (Economic working papers) 971, Bank of Italy, Economic Research and International Relations Area.
  5. Giacomo Sbrana & Andrea Silvestrini, 2013. "Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," Temi di discussione (Economic working papers) 929, Bank of Italy, Economic Research and International Relations Area.
  6. Giacomo Sbrana, 2013. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Post-Print hal-00779344, HAL.
  7. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Post-Print hal-00809247, HAL.
  8. Grigoli, Francesco & Sbrana, Giacomo, 2011. "Determinants and dynamics of schooling and child labor in Bolivia," Policy Research Working Paper Series 5534, The World Bank.
  9. Giacomo Sbrana, 2010. "Forecasting damped trend exponential smoothing: an algebraic viewpoint," Working Papers 10-08, Association Française de Cliométrie (AFC).
  10. SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," CORE Discussion Papers 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. SBRANA, Giacomo & SILVESTRINI, Andrea, 2009. "What do we know about comparing aggregate and disaggregate forecasts?," CORE Discussion Papers 2009020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Articles

  1. Poloni, Federico & Sbrana, Giacomo, 2017. "Multivariate Trend–Cycle Extraction With The Hodrick–Prescott Filter," Macroeconomic Dynamics, Cambridge University Press, vol. 21(06), pages 1336-1360, September.
  2. Sbrana, Giacomo & Silvestrini, Andrea & Venditti, Fabrizio, 2017. "Short-term inflation forecasting: The M.E.T.A. approach," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1065-1081.
  3. Poloni, Federico & Sbrana, Giacomo, 2015. "A note on forecasting demand using the multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 162(C), pages 143-150.
  4. Poloni, Federico & Sbrana, Giacomo, 2014. "Feasible generalized least squares estimation of multivariate GARCH(1, 1) models," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 151-159.
  5. Sbrana, Giacomo & Silvestrini, Andrea, 2014. "Random switching exponential smoothing and inventory forecasting," International Journal of Production Economics, Elsevier, vol. 156(C), pages 283-294.
  6. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
  7. Sbrana, Giacomo, 2013. "The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions," Economic Modelling, Elsevier, vol. 30(C), pages 311-316.
  8. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 146(1), pages 185-198.
  9. Sbrana, Giacomo & Poloni, Federico, 2013. "A closed-form estimator for the multivariate GARCH(1,1) model," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 152-162.
  10. Francesco Grigoli & Giacomo Sbrana, 2013. "Determinants And Dynamics Of Schooling And Child Labour In Bolivia," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 17-37, May.
  11. Giacomo Sbrana, 2012. "Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(1), pages 85-98, January.
  12. Giacomo Sbrana & Andrea Silvestrini, 2012. "Comparing aggregate and disaggregate forecasts of first order moving average models," Statistical Papers, Springer, vol. 53(2), pages 255-263, May.
  13. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 93-107, March.
  14. Giacomo Sbrana, 2012. "Aggregation and marginalization of GARCH processes: some further results," METRON, Springer;Sapienza Università di Roma, vol. 70(2), pages 165-172, August.
  15. Giacomo Sbrana & Andrea Silvestrini, 2011. "Measuring core inflation in Italy comparing aggregate vs. disaggregate price data," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(3), pages 239-258, October.
  16. Giacomo Sbrana, 2011. "Structural time series models and aggregation: some analytical results," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 315-316, May.
  17. Giacomo Sbrana, 2008. "On the use of area-wide models in the Euro-zone," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(4), pages 499-518, October.
  18. Giacomo Sbrana, 2007. "Testing for Model Selection in Predicting Aggregate Variables," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 66(1), pages 3-28, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Claudio Morana & Giacomo Sbrana, 2017. "Temperature Anomalies, Radiative Forcing and ENSO," Working Papers 2017.09, Fondazione Eni Enrico Mattei.

    Cited by:

    1. Morana, Claudio, 2017. "Macroeconomic and financial effects of oil price shocks: Evidence for the euro area," Economic Modelling, Elsevier, vol. 64(C), pages 82-96.

  2. Giacomo Sbrana & Andrea Silvestrini & Fabrizio Venditti, 2015. "Short term inflation forecasting: the M.E.T.A. approach," Temi di discussione (Economic working papers) 1016, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. James H. Stock & Mark W. Watson, 2015. "Core Inflation and Trend Inflation," NBER Working Papers 21282, National Bureau of Economic Research, Inc.

  3. Giacomo Sbrana & Andrea Silvestrini, 2013. "Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," Temi di discussione (Economic working papers) 929, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Babai, Zied & Boylan, John E. & Kolassa, Stephan & Nikolopoulos, Konstantinos, 2016. "Supply chain forecasting: Theory, practice, their gap and the futureAuthor-Name: Syntetos, Aris A," European Journal of Operational Research, Elsevier, vol. 252(1), pages 1-26.
    2. Giacomo Sbrana & Andrea Silvestrini & Fabrizio Venditti, 2015. "Short term inflation forecasting: the M.E.T.A. approach," Temi di discussione (Economic working papers) 1016, Bank of Italy, Economic Research and International Relations Area.
    3. Rostami-Tabar, Bahman & Babai, Mohamed Zied & Ducq, Yves & Syntetos, Aris, 2015. "Non-stationary demand forecasting by cross-sectional aggregation," International Journal of Production Economics, Elsevier, vol. 170(PA), pages 297-309.
    4. Poloni, Federico & Sbrana, Giacomo, 2015. "A note on forecasting demand using the multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 162(C), pages 143-150.
    5. Scarpel, Rodrigo Arnaldo, 2015. "An integrated mixture of local experts model for demand forecasting," International Journal of Production Economics, Elsevier, vol. 164(C), pages 35-42.

  4. Giacomo Sbrana, 2013. "The exact linkage between the Beveridge-Nelson decomposition and other permanent-transitory decompositions," Post-Print hal-00779344, HAL.

    Cited by:

    1. Murasawa, Yasutomo, 2015. "The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series," MPRA Paper 66319, University Library of Munich, Germany.
    2. Riccardo De Bonis & Andrea Silvestrini, 2014. "The Italian financial cycle: 1861-2011," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.

  5. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Post-Print hal-00809247, HAL.

    Cited by:

    1. Riccardo De Bonis & Andrea Silvestrini, 2014. "The Italian financial cycle: 1861-2011," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.

  6. Grigoli, Francesco & Sbrana, Giacomo, 2011. "Determinants and dynamics of schooling and child labor in Bolivia," Policy Research Working Paper Series 5534, The World Bank.

    Cited by:

    1. Ghulam Abid & Binish Khan & Zeeshan Rafiq & Alia Ahmed, 2015. "Child Trade-Off Theory: A Theoretical Discussion on the Structure, Causes, Consequences and Eradication of Child Labor," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 4(1), pages 24-34, March.
    2. Diego A. Vera Cossio, 2011. "Enrollment and child labor in Bolivia," Development Research Working Paper Series 11/2011, Institute for Advanced Development Studies.
    3. Bredl, Sebastian, 2012. "Child Quality and Child Quantity: Evidence from Bolivian Household Surveys," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62065, Verein für Socialpolitik / German Economic Association.

  7. SBRANA, Giacomo & SILVESTRINI, Andrea, 2010. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," CORE Discussion Papers 2010039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(4), pages 649-677.
    2. Ana María Iregui B. & Luis Fernando Melo V. & María Teresa Ramírez G. & Carmen Cecilia Delgado R., 2013. "El efecto de la volatilidad y del desalineamiento de la tasa de cambio real sobre la actividad de las empresas en Colombia," BORRADORES DE ECONOMIA 011106, BANCO DE LA REPÚBLICA.
    3. Sbrana, Giacomo & Silvestrini, Andrea, 2014. "Random switching exponential smoothing and inventory forecasting," International Journal of Production Economics, Elsevier, vol. 156(C), pages 283-294.

  8. SBRANA, Giacomo & SILVESTRINI, Andrea, 2009. "What do we know about comparing aggregate and disaggregate forecasts?," CORE Discussion Papers 2009020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
    2. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
    3. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
    4. Giacomo Sbrana & Andrea Silvestrini, 2012. "Comparing aggregate and disaggregate forecasts of first order moving average models," Statistical Papers, Springer, vol. 53(2), pages 255-263, May.
    5. Julius Stakenas, 2015. "Forecasting Lithuanian Inflation," Bank of Lithuania Working Paper Series 17, Bank of Lithuania.

Articles

  1. Sbrana, Giacomo & Silvestrini, Andrea & Venditti, Fabrizio, 2017. "Short-term inflation forecasting: The M.E.T.A. approach," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1065-1081.
    See citations under working paper version above.
  2. Poloni, Federico & Sbrana, Giacomo, 2015. "A note on forecasting demand using the multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 162(C), pages 143-150.

    Cited by:

    1. Giacomo Sbrana & Andrea Silvestrini & Fabrizio Venditti, 2015. "Short term inflation forecasting: the M.E.T.A. approach," Temi di discussione (Economic working papers) 1016, Bank of Italy, Economic Research and International Relations Area.

  3. Poloni, Federico & Sbrana, Giacomo, 2014. "Feasible generalized least squares estimation of multivariate GARCH(1, 1) models," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 151-159.

    Cited by:

    1. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.

  4. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1437-1450.
    See citations under working paper version above.
  5. Sbrana, Giacomo, 2013. "The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions," Economic Modelling, Elsevier, vol. 30(C), pages 311-316. See citations under working paper version above.
  6. Sbrana, Giacomo & Silvestrini, Andrea, 2013. "Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," International Journal of Production Economics, Elsevier, vol. 146(1), pages 185-198. See citations under working paper version above.
  7. Sbrana, Giacomo & Poloni, Federico, 2013. "A closed-form estimator for the multivariate GARCH(1,1) model," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 152-162.

    Cited by:

    1. Li, Qi & Lian, Heng & Zhu, Fukang, 2016. "Robust closed-form estimators for the integer-valued GARCH (1,1) model," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 209-225.
    2. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    3. Poloni, Federico & Sbrana, Giacomo, 2014. "Feasible generalized least squares estimation of multivariate GARCH(1, 1) models," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 151-159.

  8. Francesco Grigoli & Giacomo Sbrana, 2013. "Determinants And Dynamics Of Schooling And Child Labour In Bolivia," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 17-37, May.
    See citations under working paper version above.
  9. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 93-107, March.
    See citations under working paper version above.
  10. Giacomo Sbrana, 2011. "Structural time series models and aggregation: some analytical results," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 315-316, May.

    Cited by:

    1. Giacomo Sbrana & Andrea Silvestrini, 2012. "Temporal aggregation of cyclical models with business cycle applications," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 93-107, March.
    2. Sbrana, Giacomo & Silvestrini, Andrea, 2014. "Random switching exponential smoothing and inventory forecasting," International Journal of Production Economics, Elsevier, vol. 156(C), pages 283-294.
    3. Riccardo De Bonis & Andrea Silvestrini, 2014. "The Italian financial cycle: 1861-2011," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 8(3), pages 301-334, September.

  11. Giacomo Sbrana, 2008. "On the use of area-wide models in the Euro-zone," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(4), pages 499-518, October.

    Cited by:

    1. Libero Monteforte, 2004. "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers) 534, Bank of Italy, Economic Research and International Relations Area.

  12. Giacomo Sbrana, 2007. "Testing for Model Selection in Predicting Aggregate Variables," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 66(1), pages 3-28, March.

    Cited by:

    1. Giacomo Sbrana, 2008. "On the use of area-wide models in the Euro-zone," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(4), pages 499-518, October.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (6) 2010-03-28 2010-10-02 2011-01-16 2013-10-18 2014-11-07 2015-06-20. Author is listed
  2. NEP-FOR: Forecasting (6) 2010-03-28 2010-10-02 2011-01-16 2013-10-18 2014-11-07 2015-06-20. Author is listed
  3. NEP-ENV: Environmental Economics (5) 2017-02-19 2017-02-19 2017-03-05 2017-03-19 2018-01-08. Author is listed
  4. NEP-ETS: Econometric Time Series (4) 2011-01-16 2011-01-16 2013-10-18 2014-11-07
  5. NEP-EDU: Education (1) 2011-01-30
  6. NEP-EEC: European Economics (1) 2015-06-20
  7. NEP-LAB: Labour Economics (1) 2011-01-30
  8. NEP-MAC: Macroeconomics (1) 2015-06-20
  9. NEP-MON: Monetary Economics (1) 2015-06-20
  10. NEP-ORE: Operations Research (1) 2015-06-20
  11. NEP-RMG: Risk Management (1) 2010-10-02
  12. NEP-URE: Urban & Real Estate Economics (1) 2011-01-30

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